Interactive calculator

Discounted workout LGD

Estimate loss given default from exposure, discounted recovery cash flows, recovery costs, and collateral haircuts.

Workout and collateral inputs

Exposure at default(currency units)

Expected recovery cash flow(currency units)

Recovery timing(years)

Recovery costs(currency units)

Annual discount rate(decimal)

Collateral market value

Collateral haircut(decimal)

Illustrative net collateral recovery after the input haircut, 500 senior claims, and 200 realization costs: 4,900.

Calculation

Discounted workout LGD

LGD = max(0, EAD + PV(costs) − PV(recoveries)) / EAD

Present value of recoveries: 3809.52.
Present value of costs: 285.71.
Net loss: 6476.19.

0.647619

Educational illustration only. Check the model definition, portfolio data, model governance, and applicable accounting or regulatory requirements before operational use.